Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0108
Annualized Std Dev 0.2407
Annualized Sharpe (Rf=0%) -0.0447

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1318
Quartile 1 -0.0059
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0069
Maximum 0.1576
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0152
Skewness -0.4491
Kurtosis 11.4411

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0105
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.7035
Historical VaR (95%) -0.0227
Historical ES (95%) -0.0382
Modified VaR (95%) -0.0232
Modified ES (95%) -0.0433
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.7035 3369 339 NA
2007-07-20 2007-08-16 2007-10-01 -0.1388 51 20 31
2007-02-27 2007-03-05 2007-04-02 -0.0813 25 5 20
2006-07-12 2006-07-17 2006-07-28 -0.0514 13 4 9
2007-06-05 2007-06-07 2007-07-09 -0.0485 24 3 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 3 -0.5 0.5 -0.4 -0.2 -0.6 -0.2 1.5
2007 0.5 -1.7 0.4 0.6 0.5 0.5 0.1 2.1 1.3 -3 0.5 -1.7 0
2008 1.7 -3.3 3.2 0.9 0.8 -1.7 -1.1 -0.4 -0.2 0.8 -7.4 1.6 -5.4
2009 -1 0.3 2.5 0.4 3.2 1.7 1.4 -2.5 -2.9 -4.1 2.6 -0.8 0.4
2010 1.9 0.1 1.9 -1.1 -1.6 2.3 -0.1 3.5 1 -0.5 2.2 0.9 10.9
2011 2.2 -1.5 1.2 -0.2 -2.2 0.7 -1.5 -1.2 -2.9 -3.4 -1.3 0.2 -9.7
2012 1.3 0.7 0.8 0.9 -2.2 3.9 -0.1 1.1 0.5 0.6 0 1.7 9.6
2013 0.7 -0.4 -0.8 -0.8 -2.2 0.3 1 -0.8 0.5 -0.6 0.4 0.4 -2.3
2014 -1.4 0 0.4 0.1 -0.3 0.8 -0.6 -0.3 -1.2 1.4 -0.3 -1.1 -2.5
2015 -1.3 0 0.5 0.8 -0.7 0.1 0.3 -3.1 -0.1 0 0.9 -1.3 -3.9
2016 0 2.4 -1.1 0.4 -0.5 0.2 -1.3 0.5 0.7 -0.5 0.2 -0.1 0.9
2017 0.1 0.9 0.2 0.4 0.5 0.1 0.5 0 0.7 0.4 -0.2 0.3 4
2018 0 -1.3 0.8 -0.6 0.4 0.5 -0.8 -1 -0.2 1.4 -0.4 0.4 -0.8
2019 0 0 0.9 -0.9 -0.7 0.5 -0.4 0.5 -0.6 0.8 -0.7 0.3 -0.4
2020 -1.4 -1.4 -3.5 -2.3 2.4 0.2 -2.3 -0.4 0 -0.9 1.5 -0.7 -8.6
2021 0.9 1.1 0.2 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.2 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  49.8 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  50.0 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  50.7 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  50.4 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-23  50.2 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart